A stock is currently priced at $52 and will move up by a factor of 1.14 or down by a factor of .90 each period over each of the next two periods. The risk-free rate of interest is 3 percent. What is the value of a put option with a strike price of $58? (Do not round intermediate calculations. Round your answer to 2 decimal places.) > Answer is complete but not entirely correct. Value of a put option $ 4.57X

A stock is currently priced at $52 and will move up by a factor of 1.14 or down by a factor of .90 each period over each of the next two periods. The risk-free rate of interest is 3 percent. What is the value of a put option with a strike price of $58? (Do not round intermediate calculations. Round your answer to 2 decimal places.) > Answer is complete but not entirely correct. Value of a put option $ 4.57X

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Similar questions

In follow an Ito process with >0, a stock is worth $80 today, if the price of an option that pays the holder $2 exactly the first time the stock price reaches $200, what is the price of an option? Show all calculation.
You buy a share of stock, write a 1-year call option with X = $55, and buy a 1-year put option with X = $55. Your net outlay to establish the entire portfolio is $54. The stock pays no dividends. a. What is the payoff of your portfolio? Payoff b. What must be the risk-free interest rate? (Round your answer to 2 decimal places.) Risk-free rate %
You are attempting to value a call option with an exercise price of $105 and one year to expiration. The underlying stock pays no dividends, its current price is $105, and you believe it has a 50% chance of increasing to $127 and a 50% chance of decreasing to $83. The risk-free rate of interest is 10%. Calculate the call option’s value using the two-state stock price model. Note: Do not round intermediate calculations. Round your final answer to 2 decimal places.
You are attempting to value a call option with an exercise price of $108 and one year to expiration. The underlying stock pays no dividends, its current price is $108, and you believe it has a 50% chance of increasing to $136 and a 50% chance of decreasing to $80. The risk-free rate of interest is 10%. Calculate the call option's value using the two-state stock price model. Note: Do not round intermediate calculations. Round your final answer to 2 decimal places.
What is the value of a call option if the underlying stock price is $112, the strike price is $105, the underlying stock volatility is 39 percent, and the risk-free rate is 6.1 percent? Assume the option has 128 days to expiration. (Round your answer to 2 decimal places. Omit the "$" sign in your response.) Call option $
You are attempting to value a call option with an exercise price of $108 and one year to expiration. The underlying stock pays no dividends, its current price is $108, and you believe it has a 50% chance of increasing to $136 and a 50% chance of decreasing to $80. The risk-free rate of interest is 10%. Calculate the call option's value using the two-state stock price model. Note: Do not round intermediate calculations. Round your final answer to 2 decimal places. > Answer is complete but not entirely correct. Value of the call option $ 12.73 x
A stock is currently priced at $35 and will move up by a factor of 1.18 or down by a factor of .85 each period over each of the next two periods. The risk-free rate of interest is 3 percent. What is the value of a put option with a strike price of $40? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) please show in excel! thank you
Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Interest rate |||||||||| Value of a call option = = 6 months 56 % per year 55 = 54 6% Calculate the value of a call option. (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the "S" sign in your response.)
Please show step by step work (not in excel): What is the call option premium given the following information? What would happen to the call price if the company initiated and paid a dividend before the expiration of the option? What would happen to the call premium if the expiration of the option expanded beyond the current 9 months? Stock price $36.00 Strike price $30.00 Volatility 16% Dividend Yield 0.00 Time 0.75 Riskfree Rate 2.70%
At time t=0 Mr. Anderson sets up a riskless portfolio by taking a position in an option and in the underlying asset. Explain what Mr. Anderson needs to do at time t=1 to keep his portfolio risk neutral and why. A stock price is currently $100 and at the end of four months it will be ST . A derivative written on this stock pays off expST1/3 in four months. Given that u = 1.15, d = 0.87, and that the risk-free interest rate is 10% p.a. (continuously compounded), answer the following questions using a one-period binomial model (show all the details of your calculations and display the results with four decimal places): Calculate the value of ∆ Calculate the current value of the derivative.
Black-Scholes Model Use the Black-Scholes model to find the price for a call option with the following inputs: (1) current stock price is $28, (2) strike price is $34, (3) time to expiration is 6 months, (4) annualized risk-free rate is 6%, and (5) variance of stock return is 0.09. Do not round intermediate calculations. Round your answer to the nearest cent. $
Suppose that call options on XYZ stock with time to expiration 3 months and strike price $90 are selling at an implied volatility of 30% ExxonMobil stock price is $90 per share, and the risk free rate is 4%. Required: a1 If you believe the true volatility of the stock is 32%, would you want to buy or sell call options? a2-Now you want to hedge your option position against changes in the stock price. How many shares of stock will you hold for each option contract purchased or sold?

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